π Expected-Move Spreads β the implied move as two credit spreads
This page draws the expected move the options market is pricing as four real strikes: a short call above, a short put below, and a protective wing beyond each. Then it checks history: how often did the price stay away from those strikes, compared with what the market charged? It answers which credit spread is worth selling β the call side, the put side, or the iron condor.
long call Β·Β·Β·Β·Β· wing (protection) short call βββββ upper band edge β call spread βββββββββββββββ price short put βββββ lower band edge β put spread long put Β·Β·Β·Β·Β· wing (protection)Sell both spreads and you have an iron condor. The page scores all three separately, because very often one side is worth selling and the other is not.
New words? Glossary. The top strip works as on every ticker page.
Controls
| Control | What it does | Suggested |
|---|---|---|
| short legs | How far the short strikes sit: 0.5 Γ β¦ 1.5 Γ the implied move. Closer = more credit, more touches. | 1.0Γ |
| wings | How far beyond the short strike the protective leg sits, as % of the price. | 5 % |
| worth trading at | The minimum credit as a share of the width at risk. Below it, a structure is "too small to be worth it". | 15β20 % |
| use the skew | Puts cost more, so the market's move is bigger on the downside. Ticked = the put side sits further out. | on |
| chart | The four legs, or the four legs + a realised (ATR) band for comparison. |
The formula is printed under the controls: short legs at price Γ IV(tenor) Γ β(days/365).
Headline and the three tier tiles
Three horizons: Short β 14 days, Medium β 45 days, Long β 180 days. Click a tile to select that tier for the chart.
| On a tile | How to read it |
|---|---|
| IV | Implied vol at that horizon. |
| four prices | Long put Β· short put β¦ short call Β· long call, today. |
| Β±X % implied Β· realised Β±Y % | The band half-width priced by options against what the ticker actually moves. Implied wider than realised = selling has room. |
| 𧱠wall | A real open-interest wall sits at or beyond the band edge: a level dealers defend. Best. |
| β« inside | Walls exist on that side, but all are closer than the band: the crowd is positioned nearer than where you would sell. |
| βͺ none | No open-interest concentration on that side: the level is just arithmetic. |
| β₯ out | The move reaches past every listed strike. |
| call side / put side Β±N pt | How much more (+) or less (β) often each spread held than the market priced. |
| Headline | Meaning |
|---|---|
| N OF 9 OFF ITS PRICE | Those structures held more (or less) often than priced, even after correcting for testing all nine. "One side is doing the work" = sell that spread, not the pair. |
| FAIRLY PRICED | The implied move is doing its job. No side is mispriced β the usual result. |
| NO TENOR | No usable IV at these horizons for this ticker. |
"What each structure did, against what the market charged"
One row per tier Γ structure (9 rows). Click a row to select its tier.
| Column | How to read it |
|---|---|
| windows | Past windows that have finished (e.g. every 14-day period). |
| Ο | The band's real width in Ο after snapping to listed strikes. |
| held | Share of windows where the price never touched the short strike(s). |
| implied | The no-touch chance the market priced, using the right number of barriers: one for a spread, two for the condor. |
| edge | held β implied. + = held more often than priced (good for sellers) Β· β = breached more often. |
| p / q | Chance of luck / corrected for all nine. q < 0.05 = real. |
| terminal | What "finished inside" would say. The flattering number β do not judge on it. |
| full width | How often the price also reached the long leg: the maximum loss. Amber when over 10 %. |
| breach side | For the condor: which side got hit. β lopsided = almost always one side, meaning the ticker trended. |
| edge (if q is small) | Meaning |
|---|---|
| +10 pt or more | Clearly held more than priced. Selling that structure has paid. |
| β5 to +10 pt | About fair. |
| β10 pt or less | Breached more than priced. Selling it has lost; the market underprices that move. |
| Reference at Β±1Ο | Probability |
|---|---|
| price finishes inside Β±1Ο | β 68 % |
| never touches one edge (a spread) | β 68 % |
| never touches either edge (a condor) | β 37 % |
The four legs over time
The price with the short call and short put (solid) and the wings (dotted), for the selected tier. The band moves with the price because it is a distance, not a fixed level. With "+ realised (ATR)" you see whether the options band is wider or narrower than the ticker's real range.
"The nine trades" β each walks its expiries until one pays
For each tier and structure the page starts at the expiry nearest the horizon and walks outward until one passes two gates: it survives crossing the bid/ask, and pays at least your "worth trading at" share of the width. It uses the last session's real quotes.
| Verdict | Meaning |
|---|---|
| N OF 9 TRADABLE | N structures pass both gates. If "β¦also carry a positive EV", those are the interesting ones. |
| β¦none with positive EV | The market will fill them, but the bet is not good. Sellable, not profitable. |
| NOTHING TRADABLE | No expiry passes. Volatility is not worth selling on this ticker right now. |
| Column | How to read it |
|---|---|
| expiry | The first expiry that passed, and how far it is from the tier's horizon. |
| credit | What you receive after crossing the bid/ask and commission, and the mid value. |
| % of width | Credit Γ· risk width. 20 % + is healthy for a spread; under 10 % is thin. |
| kept | Share of the mid credit that survives crossing. Under 50 % (amber) = the bid/ask eats most of it. |
| max risk | Maximum loss and reward-to-risk. |
| EV | Expected value per lot using the honest no-touch probability. Usually slightly negative on a fair market. |
| record | This structure's historical edge from the table above, and its q. |
| πΌ trade | Open it in the trade window (payoff over time, Greeks, quotes, better-trade search). |
What was rejected, and every wing priced
| Cell | Meaning |
|---|---|
| β 22 % | Passed, paying 22 % of the width. |
| too small Β· 8 % | Fairly priced, but pays too little to be worth doing. |
| eaten by the spread | The bid/ask is too wide to trade through. |
Every wing priced shows a condor at each wing width for the chosen expiry, so you see how credit, risk, reward-to-risk and "kept" change as the wings widen.
A routine that works
- Read the headline: is anything off its price, and on which side?
- Pick the tier that matches your trade length (14 / 45 / 180 days).
- Compare the call-spread and put-spread rows: which has the better edge? Is the condor lopsided?
- Check the tier tile's wall marker: is there a 𧱠wall behind your short strike?
- In The nine trades: tradable? positive EV? healthy % of width and kept?
- Press πΌ trade to study it, and size it with a defined maximum risk.
This page only offers credit structures. A no-touch statistic says the price is unlikely to reach a level β never that it will travel β so it cannot justify a debit spread.